Crypto Ticks and Depth Documentation – Other – 12 March 2025
What is Crypto Tick Data?
Crypto Tick Data refers to the most granular market data available, capturing every single trade and order book update in real-time. It is essential for high-frequency trading (HFT), algorithmic trading, and backtesting strategies.
What is Depth Data?
Depth data, also known as order book data, represents real-time buy and sell orders in a market. It shows the liquidity, supply/demand, and potential price movement of an asset.
✅ Use Case:
- Market-making & liquidity monitoring
- Spread analysis & execution algorithms
- Detecting hidden buy/sell walls
- Estimating slippage & order execution impact
- Algorithmic & high-frequency trading (HFT)
Depth Data vs. Tick Data
| Feature | Depth Data (Order Book) | Tick Data (Trade Data) |
|---|---|---|
| Granularity | Multiple buy/sell orders at different prices | Each executed trade |
| Use Case | Liquidity analysis, order flow, bid/ask spread | Trade execution monitoring |
| Data Size | Large (high-frequency updates) | Medium (individual trades) |
| Best For | HFT, market-making, execution algorithms | Trend tracking, volume analysis |
???? How Ticker Differs from Trade & Kline
| Stream | Provides | Best For |
|---|---|---|
| trade | Each individual trade (price, volume, time) | Tick-by-tick trading strategies |
| aggTrade | Aggregated trades (same price, merged) | Slightly cleaner trade feed |
| kline (candlestick) | OHLCV for time intervals | Charting, trend analysis |
| ticker | 24h summary (high, low, volume, price change) | Market overview, alerts |
| bookTicker | Real-time best bid/ask prices | Order book analysis, scalping |
Types of Ticker Streams in Binance API
Binance provides several ticker streams, depending on what data you need:
-
Kline/Candlestick ✅
- Best for technical analysis (moving averages, RSI, MACD, etc.).
- Provides OHLCV for set time intervals.
- Less noisy compared to raw trade data.
- More consistent with charting software.
-
Trade Streams ( trade ) ⚠️
- Provides real-time trade-by-trade data.
- Useful for high-frequency trading (HFT) or order flow analysis.
- Can be noisy and needs additional aggregation.
-
Aggregate Trade Streams ( aggTrade ) ⚠️
- Similar to trade , but combines multiple trades into one when executed at the same price.
- Helps reduce noise slightly but still requires aggregation.
-
Depth ( depth )
- Provides order book updates, useful for market liquidity analysis.
- Not ideal for standard price-based analysis.
4. Ticker @ 1000ms : provides ticker
Conclusion:
If your goal is to analyze price movements and make trading decisions, Kline/Candlestick ( kline_
Crypto Ticks Instructions :
Add URLs to Tools > Options > Expert Advisors > Allow WebRequest for listed URL:
Binance Spot
URL 1: api.binance.com
URL 2: stream.binance.com
Binance Futures
URL 1: fapi.binance.com
URL 2: fstream.binance.com
Kucoin Spot
URL 1: ws-api-spot.kucoin.com
URL 2: api.kucoin.com
Kucoin Futures
URL 1: ws-api.kucoin.com
URL 2: api-futures.kucoin.com
ByBit Futures and Inverse Futures
URL 1: stream.bybit.com
URL 2: api.bybit.com
Instructions :
1. Add the URLs to MT5 Options
2. Load the Utility on any chart and select Mode to LIVE and select Exchange e.g. Binance Spot and select Create Symbols to true only for first run time so symbols can be created.
3. Once all symbols are created, Exit the EA from right click > select Utility Crypto charts and click Remove.
4. On Market watch, Right click and click Hide All to hide all symbols and now you can search to add symbols to Market watch e.g. BTC, ETH
5. Now load the Utility again on any chart but this time make sure Create symbol is set to false.
6. Load the Utility again on another chart and select Mode to History and select Exchange same as step 2 and select Auto Update as false.
7. Now update the history form the panel for as long as you want.You can also load history from any custom date which can be set from Max Date Field on the utility.
8. Once you are done updating the history on all your selected symbol, You can turn Auto Update to true and when you restart all latest charting data for all symbols will be automatically updated.
For Free Installation / configuration on your system – Send us a private message after your purchase
Use causes of Tick Data :
1. Tick data bid and ask and spread information helps in development of HFT algos
2. Tick data book depth helps in research and development to study price and order quantities relationship to precisely discover accurate trading methods.
